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ISS Informal Systems Seminar

Mean-field games models of price formation

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Feb 12, 2021   10:00 AM — 11:00 AM

Joao Saude Systems and Robotics Institute (ISR), Portugal

Joao Saude

Presentation on YouTube

We consider dynamical systems with a large number of agents that can store and trade a commodity such as electricity. We present a price-formation model consisting of constrained mean-field games where the price is a Lagrange multiplier for the supply vs. demand balance condition. We illustrate the model using real data of daily energy consumption in the UK. Then we present a Fourier approximation method for the solutions of first-order nonlocal mean-field games. We approximate the system by a simpler one that is equivalent to a convex optimization problem over a finite-dimensional subspace of continuous curves. Time permitting, we discuss possible applications to price formation problems where prices depend on state and time.

Peter E. Caines organizer
Aditya Mahajan organizer
Shuang Gao organizer
Yaroslav Salii organizer

Location

Online meeting
Zoom
Montréal Québec
Canada

Research Axes

Research applications